Yes it is, the majority of cases when you´re leaving your job voluntarily, so are quitting and your employer is thus not obliged to pay you any indemnization and your employer claims you have not honoured the legally established notice period for example, and fines you for that (according to either contract or convenio).
Or if your contract contains a ´competition´ clause that your employer invokes if he has knowledge your next employment will be with one of his competitors and he fines you accordingly. Or a ´permanency´ clause and you leave before the established permanency period is up. Or any combination of the above.
In either case the amount of last month´s wages, plus any holidays you haven´t been able to take during the contract period, can be inferior to the fines, resulting in an amount to be paid by the employee to the employer. Please note that the burden of proof is with the employer, not the employee and you are not obliged to sign the Finiquito if you do not agree with it.
If this happens to you, we would strongly advise to seek the assistance of a legal professional with experience in labour law, for example through a labour union´s office, to have the legality of the clauses being invoked by your employer, checked out. CCOO and UGT are big unions in Spain and you can find a listing of offices on their respective websites.